文章基本信息

标题：A COMPARISON OF BASIC AND EXTENDED MARKOWITZ MODEL ON CROATIAN CAPITAL MARKET
本地全文：下载
作者：Škarica, Bruna ; Lukač, Zrinka
期刊名称：Croatian Operational Research Review
印刷版ISSN：1848-0225
出版年度：2012
卷号：3
期号：1
页码：236-244
出版社：Croatian Operational Research Society
摘要：Markowitz' mean - variance model for portfolio selection, first introduced in H.M. Markowitz' 1952 article, is one of the best known models in finance. However, the Markowitz model is based on many assumptions about financial markets and investors, which do not coincide with the real world. One of these assumptions is that there are no taxes or transaction costs, when in reality all financial products are subject to both taxes and transaction costs – such as brokerage fees. In this paper, we consider an extension of the standard portfolio problem which includes transaction costs that arise when constructing an investment portfolio. Finally, we compare both the extension of the Markowitz' model, including transaction costs, and the basic model on the example of the Croatian capital market.
关键词：portfolio optimization; Markowitz model; expected return and risk; transaction costs